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Dimensions of Macroeconomic Uncertainty: A Common Factor Analysis
Henzel, Steffen; Rengel, Malte - CESifo - 2014
Uncertainty about the future course of the economy is a possible driver of aggregate fluctuations. To identify the different dimensions of uncertainty in the macroeconomy we construct a large dataset covering all types of economic uncertainty. We then identify two fundamental factors which...
Persistent link: https://www.econbiz.de/10010948818
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Private Debt Overhang and the Government Spending Multiplier: Evidence for the United States
Bernardini, Marco; Peersman, Gert - CESifo - 2015
Using state-dependent local projection methods and historical U.S. data, we find that government spending multipliers are considerably larger in periods of private debt overhang. In particular, we find significant crowding-out of personal consumption and investment in low-debt states, resulting...
Persistent link: https://www.econbiz.de/10011212082
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Modelling Structural Breaks in the US, UK and Japanese Unemployment Rates
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - CESifo - 2006
In this paper we use a general procedure to detect structural breaks at unknown points in time which allows for different orders of integration and deterministic components in each subsample (see Gil-Alana, 2006). First, we extend it to the non-linear case, and show by means of Monte Carlo...
Persistent link: https://www.econbiz.de/10005013068
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Investigating the U.S. Oil-Macroeconomy Nexus using Rolling Impulse Responses
Gronwald, Marc - CESifo - 2009
This paper is concerned with the apparent change in the U.S. oil price-macroeconomy relationship. It is investigated to what extent this change can be accounted for by the large oil price surges witnessed in the 1970s. The innovative approach of rolling impulse responses is applied and both the...
Persistent link: https://www.econbiz.de/10005013074
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Predictive Ability of Business Cycle Indicators under Test: A Case Study for the Euro Area Industrial Production
Carstensen, Kai; Wohlrabe, Klaus; Ziegler, Christina - CESifo - 2010
In this paper we assess the information content of seven widely cited early indicators for the euro area with respect to forecasting area-wide industrial production. To this end, we use various tests that are designed to compare competing forecast models. In addition to the standard...
Persistent link: https://www.econbiz.de/10008498989
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Business Cycles, International Trade and Capital Flows: Evidence from Latin America
Caporale, Guglielmo Maria; Girardi, Alessandro - CESifo - 2012
This paper adopts a flexible framework to assess both short- and long-run business cycle linkages between six Latin American (LA) countries and the four largest economies in the world (namely the US, the Euro area, Japan and China) over the period 1980:I-2011:IV. The result indicate that within...
Persistent link: https://www.econbiz.de/10010595388
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The Ifo Business Cycle Clock: Circular Correlation with the Real GDP
Abberger, Klaus; Nierhaus, Wolfgang - CESifo - 2010
The Ifo Business Climate is the most important indicator for the business cycle in Germany. In 1993 the connection between the two components of the business climate – business situation and business expectations – was graphically portrayed by Ifo in a 4-quadrant scheme: the Ifo Business...
Persistent link: https://www.econbiz.de/10008671712
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Financial Frictions and Inflation Differentials in a Monetary Union
Hristov, Nikolay; Hülsewig, Oliver; Wollmershäuser, Timo - CESifo - 2010
This paper employs a stylized New Keynesian DSGE model for a monetary union to analyze whether cyclical inflation … the fraction of borrowers and to a lesser extent the loan-to-value ratio - generate inflation differentials that are … characteristics of financial markets should be seen as a possible alternative explanation for the observable inflation dispersion in …
Persistent link: https://www.econbiz.de/10008727289
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Inflation and Output Dynamics in a Model with Labor Market Search and Capital Accumulation
Heer, Burkhard; Maussner, Alfred - CESifo - 2007
rate policy helps to reconcile the inflation and output persistence with empirical observations for the US economy. We show … findings for the inflation inertia in a model with capital adjustment costs and variable capacity utilization, the output …
Persistent link: https://www.econbiz.de/10005766166
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Limited Commitment Models of the Labour Market
Thomas, Jonathan; Worrall, Tim - CESifo - 2007
We present an overview of models of long-term self-enforcing labor contracts in which risk sharing is the dominant motive for contractual solutions. A base model is developed which is sufficiently general to encompass the two-agent problem central to most of the literature, including variable...
Persistent link: https://www.econbiz.de/10005766123